Scaling and Multi-scaling in Financial Markets

Details Scaling and Multi-scaling in Financial Markets Scaling and Multi-scaling in Financial Markets

2000-07-25

arxiv.org/abs/cond-mat/0007385v1

Physics

Condensed Matter

Statistical Mechanics

Paper presented at the Disordered and Complex Systems s conference, King's College London, July 2000

Scientific paper

10.1063/1.1358199

This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a possible explanation for the complex dynamics of markets' returns. Scaling and multi-scaling analysis performed on the simulated data is in good quantitative agreement with the empirical results.

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